Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 5
Score 0.92 1.55 6.08
Market Cap (Millions USD) 10813.91 10741.9 10933.2
Predicted Beta 1.67 1.66 1.62
Idiosyncratic Volatility 3.16 3.36 3.32

Annualized return and volatility

IWP
Annualized Return 0.0873
Annualized Std Dev 0.2056
Annualized Sharpe (Rf=0%) 0.4245

Row

Daily Return Statistics

IWP
Observations 4707.0000
NAs 407.0000
Minimum -0.1053
Quartile 1 -0.0052
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0067
Maximum 0.1018
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0129
Skewness -0.2521
Kurtosis 6.5031

Downside Risk

IWP
Semi Deviation 0.0094
Gain Deviation 0.0089
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5692
Historical VaR (95%) -0.0202
Historical ES (95%) -0.0315
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0358
From Trough To Depth Length To Trough Recovery
2007-10-10 2008-11-20 2011-01-14 -0.5692 839 289 550
2001-08-03 2002-10-07 2003-12-01 -0.3972 595 298 297
2011-07-08 2011-10-03 2012-03-26 -0.2503 183 62 121
2018-09-17 2018-12-24 2019-03-21 -0.2250 130 70 60
2015-04-24 2016-02-11 2016-08-23 -0.2026 341 206 135

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWP
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA 0.0 0.0 2.1 0.0 0.0 2.1
2002 -0.4 2.5 -0.2 0.5 0.0 -3.1 -2.9 0.0 0.1 2.9 0.0 0.0 -0.7
2003 0.0 0.0 -0.7 -0.3 0.0 0.6 -0.4 0.0 1.6 0.0 1.3 0.0 2.1
2004 0.0 1.4 0.6 0.0 0.2 -1.6 0.0 0.6 1.1 0.1 1.8 0.0 4.3
2005 0.7 0.7 -0.3 0.0 0.6 0.4 0.0 -0.2 0.0 0.2 1.8 0.0 3.9
2006 0.5 1.2 0.0 -0.2 1.7 0.0 -1.0 0.6 0.0 -1.1 -0.4 0.0 1.1
2007 1.1 -0.6 0.0 0.2 0.4 0.0 0.2 0.0 1.3 -2.1 0.0 0.0 0.4
2008 2.3 0.0 3.4 1.4 0.0 0.1 -0.6 0.0 -1.8 0.0 -8.9 0.0 -4.5
2009 0.0 0.0 1.5 0.5 3.9 0.5 0.0 -2.1 -3.0 0.0 1.6 0.0 2.6
2010 1.7 1.9 1.2 0.0 -2.3 -0.3 0.0 3.2 0.2 -0.1 2.2 0.0 7.9
2011 1.4 -1.8 0.6 0.0 -2.4 1.6 -0.7 -1.3 0.0 -2.7 -0.1 0.0 -5.4
2012 1.5 0.9 0.0 0.6 -3.1 0.0 -0.7 0.0 0.0 1.8 0.0 0.0 0.9
2013 1.0 0.3 -0.9 -1.0 0.0 1.4 1.9 0.0 1.1 0.1 0.0 0.0 4.0
2014 0.0 0.0 1.3 0.3 0.0 0.8 -0.2 0.0 -1.6 0.0 -1.3 0.0 -0.8
2015 0.0 0.0 -0.4 1.1 0.2 0.6 0.0 -2.7 0.2 0.0 0.8 0.0 -0.4
2016 0.4 2.4 0.5 0.0 0.4 0.2 -0.1 0.2 0.0 -0.8 -1.0 0.0 2.1
2017 -0.1 1.1 0.0 0.2 1.3 0.0 0.1 0.4 0.0 -0.3 -0.5 0.0 2.0
2018 0.0 -1.0 0.0 0.4 1.2 0.0 -0.1 0.0 -0.5 1.9 0.0 0.0 1.8
2019 0.7 0.7 1.3 -1.1 0.0 0.9 -0.9 0.0 -1.2 1.0 0.0 0.2 1.5

Row

Rolling Performance Chart

Snail Trail Chart